Trend-Following Backtester · Guide · backtest 한국어
equity · GB
Gamma Communications PLC backtest
10 trend-following strategies were compared on the full daily history of Gamma Communications PLC. 4 beat buy-and-hold CAGR; EMA 크로스오버 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 18.1%, MDD -33.6%).
Results by strategy
4 of 10 beat buy and hold (CAGR 15.5%, drawdown -70.0%).
Sharpe leader (same as main): EMA 크로스오버 — CAGR 18.1%, MDD -33.6%, Sharpe 0.83, 61% exposure.
CAGR reference leader: ROC 모멘텀 — CAGR 19.0%, MDD -42.0%, exposure 77%.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 2.6%p higher than buy and hold, while drawdown improves by 36.4%p (CAGR 18.1%, MDD -33.6%, exposure 61%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| EMA 크로스오버 fast=55, slow=224 |
18.1% | -33.6% | 0.83 | 0.54 | 7.2x | 5 | 61% |
| ROC 모멘텀 n=149, threshold=-0.13 |
19.0% | -42.0% | 0.81 | 0.45 | 7.9x | 17 | 77% |
| SMA 크로스오버 fast=53, slow=212 |
17.3% | -33.6% | 0.78 | 0.51 | 6.6x | 13 | 65% |
| Donchian 채널 돌파 entryN=19, exitN=93 |
18.0% | -38.3% | 0.77 | 0.47 | 7.2x | 11 | 81% |
| Supertrend period=23, mult=4.5 |
14.0% | -26.7% | 0.73 | 0.52 | 4.7x | 23 | 52% |
| ADX / DI 방향성 period=12, threshold=25 |
9.7% | -35.9% | 0.70 | 0.27 | 3.0x | 111 | 31% |
| Keltner 채널 돌파 emaPeriod=13, atrPeriod=10, mult=3.6 |
1.4% | -6.2% | 0.47 | 0.22 | 1.2x | 2 | 1% |
| 볼린저 밴드 돌파 n=56, k=2.5 |
5.0% | -21.4% | 0.41 | 0.23 | 1.8x | 35 | 29% |
| Parabolic SAR step=0.005, maxStep=0.38 |
5.2% | -57.2% | 0.35 | 0.09 | 1.8x | 97 | 57% |
| MACD fast=12, slow=49, signal=8 |
0.9% | -79.2% | 0.15 | 0.01 | 1.1x | 199 | 50% |
| Buy and hold | 15.5% | -70.0% | 0.63 | 0.22 | 5.5x | 1 | 100% |
Rules of the top strategy
Uses two exponential averages (more weight on recent prices) and trades their crossover.
- Buy — Buy when the 55-day EMA crosses above the 224-day EMA
- Sell — Sell when the 55-day EMA falls below the 224-day EMA